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1. Construct a replicating portfolio using FRNs and ZCBs 2.. Construct a replicating portfolio using FRAs and ZCBs 3. Price the portfolio 4. Compute duration

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1. Construct a replicating portfolio using FRNs and ZCBs

2.. Construct a replicating portfolio using FRAs and ZCBs

3. Price the portfolio

4. Compute duration (modified and with respect to continuously compounded rates) of the portfolio

5. Compute convexity (modified and with respect to continuously compounded rates) of the portfolio 2

Part 1. (5pts) Replicating Portfolios. Suppose that the semi-annually compounded Treasury yield curve today looks like and you have a risk-free portfolio which pays

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